Code & Data

A Matlab package for estimating and forecasting using the multiplicative factor multi-frequency GARCH (MF2-GARCH)  as proposed in Conrad & Engle (2025), accompanying the paper Long-term volatility shapes the stock markets sensitivity to news by Conrad, Schoelkopf, and Tushteva (2024). 

• A comprehensive toolbox for estimating and forecasting volatility using the MF2-GARCH-rw-m. 
• Code for four applications: estimation, news impact curve, out-of-sample forecasting, illustration of forecasting behavior
• You can download the package from its GitHub repository. 
• Creator and maintainer

Replication package for replicating the paper Long-term volatility shapes the stock markets sensitivity to news by Conrad, Schoelkopf, and Tushteva (2025). 

• Coming soon!
• You can download the replication package from its GitHub repository. 
• Creator and maintainer